The Dynamic Relationship between Export, Import and Inflation: Empirical Evidence from India

2018 ◽  
Vol 66 (3-4) ◽  
pp. 294-311
Author(s):  
Malayaranjan Sahoo ◽  
Narayan Sethi
Keyword(s):  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Dynamic Relationship ◽  
Long Run ◽  
Integration Test ◽  
Causality Tests ◽  
Competitive Prices ◽  
Variance Decomposition Analysis ◽  
The Government ◽  
The Relationship

This article aims to examine the relationship between inflation, export, import and foreign direct investment (FDI) in India from1975 to 2017. The study employed Johansen co-integration test to find out the long-run relationship among the variables and further variance decomposition analysis (VDA) and impulse response function (IRF) through vector autoregression (VAR) used to find out the dynamic relationship. Both VDA and IRF results indicate that export has positive or greater influence in inflation in India than other variables like import and FDI. The pair-wise granger causality approach finds that there is unidirectional causality running between exports and inflation and not vice versa, whereas inflation granger causes import. Toda Yamamoto causality also has shown similar result. Both the causality tests revealed that no causal relationships exist between inflation and FDI in India during the study period. As the exports of India have been continuously declining for past few years, the outcomes of this study are the true depiction of India’s economic situation. So, the government should provide a competitive environment and incentives to the local industry to produce at competitive prices to the international market.

scholarly journals The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies

2021 ◽  
Vol 13 (2) ◽  
pp. 676
Author(s):  
Ramiz ur Rehman ◽  
Muhammad Zain ul Abidin ◽  
Rizwan Ali ◽  
Safwan Mohd Nor ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
South Africa ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Individual Country ◽  
Brics Countries ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Equity Indices

This study investigates the integration of environmental, social, and governance (ESG) equity indices with conventional indices in Brazil, Russia, India, China, and South Africa (BRICS) individually and across all BRICS countries to better understand regional economic cooperation. Accordingly, we look at daily returns from 13 July 2013 to 28 February 2018 for the Morgan Stanley Capital International (MSCI) ESG indices and MSCI composite indices of the respective countries. To analyze the integration between the ESG equity indices of the sampled countries with their regional and across regional conventional counterparts, the Johansen Co-integration test is employed in this study. Further, the vector error correction model (VECM) is applied to test the causality between the sampled time-series. The impulse response function analysis further explains the impulse responses of each country’s MSCI ESG returns to one standard deviation of innovations to MSCI composite returns of the same country and across countries. Finally, the extent of the MSCI composite returns’ impact on the MSCI ESG returns in the same country indices, and cross-regional indices is examined with variance decomposition analysis. The results suggest that all ESG equity indices are integrated with conventional indices in all BRICS countries. Furthermore, there is a short-or long-run causality between MSCI ESG and MSCI composite equity indices of China and South Africa. Moreover, the study finds only short-run causality between conventional and non-conventional equity indices of Brazil and Russia, whereas we find only long-run causality between India’s non-conventional and conventional equity indices. Finally, the study finds that the all-individual country MSCI ESG equity indices shows a long-run causality with MSCI composite equity indices of all other BRICS countries. The findings also confirm the economic and financial cooperation between the BRICS countries.

The Linkage between Chittagong Stock Market and Dhaka Stock Market

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Muhammad Shahidullah Tasfiq ◽  
◽  
Nasrin Jahan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

Contagion Effects on Stock Market of Bangladesh

2017 ◽  
Vol 8 (2) ◽  
pp. 1-14 ◽  
Author(s):  
Mohammad Ashraful Ferdous Chowdhury ◽  
Md. Mahmudul Haque ◽  
Md. Nazrul Islam
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Global Economy ◽  
Global Financial Crisis ◽  
Impulse Response Function ◽  
Dynamic Relationship ◽  
Contagion Effects ◽  
Long Run ◽  
Integration Test ◽  
Short Run

Due to increased globalization and economic integration in the global economy, contagion effects have been considered an important matter for the investors and policymakers. In the wake of the global financial crisis of September 2008, Islamic financial products were thrust into the spotlight as alternatives to the shaken conventional equity markets. The objective of this study is to discover the Islamic stock market dynamics of Bangladesh with the global Islamic stock markets such as Saudi Arabia, UAE, Kuwait, Europe, UK and Japan. For understanding long run relationship or the theoretical relationships among the Islamic stock market and short run co-movements among Islamic stocks, Johansen co-integration test and Vector Error Correction model (VECM) have been applied respectively. Furthermore, the investigation on short run dynamics is also carried through Impulse Response Function (IRF) analyses. The study found that the Japanese Islamic Stock market is affected to changes in other Islamic stock markets while Kuwait stock market is the leader in the sense it affects other stock market greatly. Bangladeshi Islamic stock market is found to be marginally affecting other stock markets but not as strong as Kuwait. Global Islamic stock market seems to have very little impact to Bangladesh Islamic stock market. The evidence of co-integration and short run dynamics help a diversification benefit may be derived from the cross boarder investment. The empirical evidence of co-integration and short run dynamic relationship found in this study will help investors in making efficient investment decisions and also enhance their understanding of market behavior.

scholarly journals Fiscal Policy and Environment: A Long-Run Multivariate Empirical Analysis of Ecological Footprint in Pakistan.

2021 ◽  
Author(s):  
Samia Zahra ◽  
Dilawar Khan ◽  
Muhammad Nouman
Keyword(s):  
Fiscal Policy ◽  
Diagnostic Tests ◽  
Ecological Footprint ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Fishing Ground ◽  
Ardl Model ◽  
Long Run ◽  
Integration Test ◽  
Variance Decomposition Analysis

Abstract Despite differences in carbon emissions shares and differences in ecological footprint patterns of each nation, these differences are guaranteed to show similar features in long run, thus making it a global issue.An increase in economic growth contributes to an increase in waste production with an impact on environmental degradation and climate change. An ecological footprint is a relatively comprehensive measure than previously used CO2 emission as an environmental proxy as it includes comprehensive multi-facets environmental indicators because ecological footprint includes built-up land, CO2 emission, cropland, fishing ground, grazing land, and forest products which has included all environmental dimensions. This research has focused to empirically investigate the long-run impact of fiscal policy on the ecological footprint in Pakistan keeping different socio-economic factors into consideration. Per annum, time-series data have been collected between 1976 and 2018. The Augmented Dickey-Fuller test has been employed to determine the unit root of the data. To investigate the long-run association between fiscal policy and ecological footprint, modern econometric techniques such as Johansen co-integration test, ARDL Bounds test, different diagnostic tests, and variance decomposition analysis are used. Johnson co-integration test depicts significant long-run co-integration between fiscal policy, ecological footprint, and its major socio-economic determinants in Pakistan. Conclusion of ARDL model shows that 1% increase in public development expenditures, total population, GDP, and energy consumption increase 0.19, 2.17, 1.16, and 2.17% ecological footprint respectively in Pakistan between 1976 and 2018 and vice versa. However, it is also derived that a 1% increase in public tax and non-tax revenue and public current expenditures (in health, education, and other social sectors) shrink 0.36 and 0.013% ecological footprint in the long-run in Pakistan. The stability, reliability, and credibility of the ARDL model are found correct based on different diagnostic tests. Variance decomposition analysis also depicts fiscal policy significantly cause ecological footprint in Pakistan.

scholarly journals Agricultural price transmission across space and time: The case of cowpea and yam markets in Nigeria

2021 ◽  
Vol 16 (1) ◽  
pp. 14-26
Author(s):  
Onyinyechukwu Onubogu ◽  
◽  
Adewale Dipeolu ◽  
Keyword(s):  
Unit Root Test ◽  
Decomposition Analysis ◽  
Price Transmission ◽  
Food Crisis ◽  
Causality Test ◽  
Space And Time ◽  
Long Run ◽  
Integration Test ◽  
Retail Prices ◽  
Variance Decomposition Analysis

The transmission of price changes to markets has attracted renewed interest since the international food price spikes of 2007 to 2011. In response to this, this paper investigates the long-run behaviour of Nigerian cowpeas and yam tuber retail prices across space and time from 2000 to 2015. We employed the augmented Dickey-Fuller unit root test, the Johansen co-integration test, the Granger causality test, the vector error-correction model (VECM) and variance decomposition analysis. The Johansen co-integration test confirmed the presence of a long-run relationship across the markets, while the VECM revealed that the speed of adjustment to equilibrium after price shocks in the yam and cowpea markets varied across space (market) and period (time), with the food crisis in the period pre-2007 to 2011 fastest and the food crisis in the period 2007 to 2011 slowest. We are of the opinion that the presence of a long-run relationship in Nigerian cowpea and yam markets is a call for participants to explore opportunities for gainful trade.

Growth in Foreign Trade in Liberalized India: The Relevance of FDI

2020 ◽  
pp. 097215092093698
Author(s):  
Shib Sankar Jana ◽  
Tarak Nath Sahu ◽  
Krishna Dayal Pandey
Keyword(s):  
Foreign Trade ◽  
Service Sector ◽  
Function Analysis ◽  
Export Performance ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
Positive Shock

Driven by the need of an economic model that can explain the foreign direct investment (FDI)–export relationship, especially in post-liberalized context, we make a special inquiry on whether FDI has a significant export-promoting impact in India under a time-varying parameter model with vector autoregressive specification. The Johansen’s co-integration test suggests a significant and positive long-run co-movement between FDI and export. The vector error correction model (VECM) confirms a unidirectional long-run causality from export to FDI. However, the Granger causality test establishes a bi-directional causal relationship between these variables in short run. Further, the foreign trade (FT) is found to be a strongly exogenous variable as per the variance decomposition analysis. Again, the impulse response function analysis suggests that the responses generated from a positive shock of FT to FDI and vice versa are small and initially negative, afterward remain steadily positive at a constant level. The study finally recommends the policymakers to channelize the inward-FDI into tradable goods industries rather than only linking it to service sector growth to reap the long-term benefit. In this regard, China’s effort to channelize inward-FDI into manufacturing sectors and the resultant momentous success in export performance can be taken as a classic example for FDI-led foreign trade promotion.

scholarly journals Price variation and transmission in beans consuming market of Southwest, Nigeria

2021 ◽  
Vol 8 (6) ◽  
pp. 609-618
Author(s):  
Olanrewaju Omosehin ◽  
Babatunde Ekundayo ◽  
Oluyede Aturamu ◽  
Adewale Olutumise
Keyword(s):  
Granger Causality ◽  
Price Transmission ◽  
Price Variation ◽  
Urban Markets ◽  
Rural And Urban ◽  
Long Run ◽  
Integration Test ◽  
Causality Tests ◽  
Southwest Nigeria ◽  
The Government

Nigeria's bean market is still characterized by inefficient and weak integration due to inadequate price information and market infrastructure. Therefore, the study investigates the price variation and transmission of beans markets in Nigeria's Southwest region. The study employed an average monthly price of white and brown beans in rural and urban markets spanning March 2014 to July 2019. Coefficient of variation (CV), Augmented Dickey-Fuller (ADF), Johansen co-integration test and Granger-Causality tests were the analytical tools used for the analysis. The results of CV indicated a spike variation of beans prices over the periods. Urban brown beans experienced the lowest variability of 1.56% in 2015, while rural brown beans experienced the highest variability of 30.03% in 2014. The co-integration test established a long-run dynamic between bean products of different varieties in the same market. However, it failed in the same products in different markets using a bivariate co-integration test. The multivariate co-integration test’s results affirmed that bean markets are strongly linked together in the long-run. The results of Granger-causality showed uni-directional and bi-directional causalities in the beans markets. Rural white beans assumed the lead position and formed the major price transmission in the beans’ markets in the area. Therefore, for more efficiency in the beans’ rural and urban markets, the government should design appropriate market strategies such as accessible market information and infrastructures.

scholarly journals Foreign Direct Investment, Financial Development and Economic Growth Evidence from Saudi Arabia

2017 ◽  
Vol 8 (4) ◽  
pp. 228 ◽  
Author(s):  
Najeeb Muhammad Nasir ◽  
Mohammed Ziaur Rehman ◽  
Nasir Ali
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Financial Development ◽  
Direct Investment ◽  
Impulse Response Function ◽  
Saudi Arabian ◽  
Causality Test ◽  
Long Run ◽  
Oil Resources ◽  
Integration Test

This study is an effort to explain and establish a relationship among foreign direct investment, financial development and economic growth in Saudi Arabian context for the period of 1970 to 2015 by employing Vector Auto Regression (VAR) and modified Granger Casualty Models. The result of Johansen co-integration test illustrates that no long run co-integration can be established among the variables. VAR has established a link between economic growth, financial development and foreign direct investment. The Granger causality test also confirms that economic growth causes foreign direct investment and financial development which is a unidirectional causality running from economic growth towards foreign direct investment and financial development. No significant causality can be observed empirically between foreign direct investment and financial development. This feature can be attributed to the fact that Saudi Arabian economy is still heavily dependent on its oil resources which is the driving force behind growth. Impulse Response Function has been utilized in order to observe the response to the shocks among the variables.

scholarly journals FDI and Economic Growth in EU13 Countries: Cointegration and Causality Tests

2020 ◽  
Vol 12 (3) ◽  
pp. 47-63
Author(s):  
Vlatka Bilas ◽  
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
European Union ◽  
Annual Data ◽  
Foreign Direct Investments ◽  
Causality Test ◽  
Panel Ardl ◽  
Long Run ◽  
Causality Tests ◽  
The Relationship

Foreign direct investments are seen as a prerequisite for gaining and maintaining competitiveness. The research objective of this study is to examine the relationship between foreign direct investment (FDI) and economic growth in “new” European Union member countries using various unit root, cointegration, as well as causality tests. The paper employs annual data for FDI and gross domestic product (GDP) from 2002 to 2018 for the 13 most recent members of European Union (EU13): Bulgaria, Croatia, Cyprus, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia. An estimated panel ARDL (PMG) model found evidence that there is a long-run equilibrium between the LogGDP, LogFDI and LogFDIP series, with the rate of adjustment back to equilibrium between 3.27% and 20.67%. In the case of the LogFDI series, long-run coefficients are highly statistically significant in all four models, varying between 0.0828 and 0.3019. These coefficients indicate that a 1% increase in LogFDI increases LogGDP between 0.0828% and 0.3019%. Results of a Dumitrescu-Hurlin panel causality test indicated that a relationship between the GDP growth rate and FDI growth rate is only indirect. Finally, only weak evidence was shown that FDI had a statistically significant impact on GDP in the EU13 countries over the period 2002-2018. This report of findings contributes to the literature concerning FDI and economic growth, namely regarding the current understanding of the relationship between these two factors.

scholarly journals The Nexus between Export and Economic Growth in Tanzania

2019 ◽  
Vol 1 (2) ◽  
pp. p95
Author(s):  
Romanus L. Dimoso (PhD, Economics) ◽  
UTONGA, Dickson (MSc. Economics)
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Series Data ◽  
Test Results ◽  
Causality Test ◽  
Goods And Services ◽  
Long Run ◽  
Causality Tests ◽  
The Government ◽  
Econometrics Analysis

This study explored the causal relationship between exports and economic growth in Tanzania. It analyzed time series data for the period of 1980 to 2015. Economic growth is measured in terms of growth per cent while exports are measured in percentage change of goods and services sold abroad. Econometrics analysis was employed in the due course. Such procedures as testing for the presence of unit root, co-integration and causality were done. Furthermore, the Johansen co-integration and Granger causality tests were employed to examine the long-run relationship among variables. The results of co-integration indicate the existence of one co-integrating equation. The causality test results exhibited causality which runs from economic growth to exports. The results conclude that, in the long run, there is a relationship between exports and economic growth in Tanzania. This study recommends the Government to make efforts to improve exports and eventually, in the long-run, rejuvenating the economy.

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